In 2002, Gray attended training camp with the Jacksonville Jaguars, appearing in three preseason games, completing 5 of 8 passes for 55 yards and one interception. In 2003, he was allocated to NFL Europe, where he led the Frankfurt Galaxy to a win in World Bowl XI.

He attended the Jaguars training camp the next year, winning the 3rd quarterback job. He first saw action in a regular season game with the season finale against the Tennessee Titans in the 2005 season, completing 14 passes for 100 yards, 2 touchdowns, and no interceptions for a passer rating of 119.0. He again saw action in the 2006 season finale versus the Kansas City Chiefs, entering the game to replace David Garrard in the third quarter. Down 28-10, he nearly led the Jaguars to a comeback, completing 13 of 22 passes 166 yards, with no interceptions, and rushing for 26 yards and 2 touchdowns.

In October 2007, he became starting quarterback of the Jaguars due to an injury to Garrard. Gray went 2-1 as the starter. He also started the last game of the season against Houston Texans, losing 42-28.